They do, the dreamsleeve is where souls go if they didn't worship something.

I have to be a human race? In that case, I'll be a Redguard...the ones least related to the Nords, Imperials, and Bretons.

As a Redguard, I would worship Satakal since Redguards do not distinguish a difference in the greater beings of Anu and Padomay in their teachings.

Still even then....Hail Sithis.

And Jyggalag. As tempting as the Mad God sounds, his counterpart is just more appealling.

Maybe this is why the Daedric artifacts in Skyrim, for the most part, svck.